清华大学经管学院金融工程1.ppt

INTRODUCTION TO FINANCIAL ENGINEERING ? Fred Song September 2001 第一页，共三十三页。 Introductory What is Finance? What is Financial Engineering? What’s the role of Financial Engineering in New Economy? New economy Financial engineering and e-commerce 第二页，共三十三页。 What is Finance? Money Banking — Monetary Economics International Finance — International Economics 第三页，共三十三页。 Corporate Finance Capital Market (Investments) Financial Economics Multinational Corporate Finance International Financial Market Financial Engineering 第四页，共三十三页。 What is Financial Engineering? Generalizing: Financial Engineering involves the design, the development, and the implementation of innovative financial instruments and processes, and the formulation of creative solutions to problems in finance. Specializing: Financial Engineering is risk management via creative structural tools. 第五页，共三十三页。 FINANCE I.T. ENGINEERING F.E. 第六页，共三十三页。 CHAPTER ONE: MM Theory and No Arbitrage MM Theory Two measurements of value Accounting: book value — historic cost Finance: market value — net present value 第七页，共三十三页。 Assets = Liabilities + Equity Accounting Equality: duel entity system Book value measurement Fund use Fund source Finance Equality: Fund use = Fund source Market value measurement 第八页，共三十三页。 Corporate Finance Assets Liabilities and Equity Asset 1 Asset 2 Liabilities Asset 3 . . Equity . Asset n Total Assets Total Liabilities and Equity Accounting: Yes! Finance: No! Capital Market Real Economy NPV Firm Value + NPV 第九页，共三十三页。 Liabilities Value Equity Value Liabilities Value Assets Value Capital Structure Financial leverage: or Has a change of financial leverage any impact on the firm value? 第十页，共三十三页。 MM Theory MM assumptions: Frictionless assumptions No inc